TLT Options History — November 2009 In November 2009, TLT traded between $93.24 and $96.63. ATM implied volatility averaged 13.5%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.4% (HV 20d: 13.1%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.37.
Notable Days 2009-11-06 : Highest Volume — 30,875 contracts2009-11-27 : Largest IV spike — 11.1% change2009-11-03 : Highest IV Rank — 13.5%2009-11-03 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $94.61 $93.24 $96.63 $95.05 $96.63 Max Pain $95.60 $95.00 $96.00 $96.00 $95.00 ATM IV 13.5% 11.2% 16.6% 16.0% 12.8% Expected Move 3.9% 3.2% 4.8% 4.6% 3.7% HV 20d 13.1% 8.7% 16.7% 16.7% 8.7% HV 60d 14.5% 13.4% 15.7% 15.7% 13.4% IV Rank 3.4% 0.0% 13.5% 10.9% 6.4% IV Percentile 3.5% 0.0% 23.0% 16.3% 2.8% Term Structure 1.0% -0.0% 2.0% 0.2% 0.4% VWIV 13.8% 11.1% 16.6% 15.8% 14.4% Skew 25d 0.9% 0.2% 1.9% 1.6% 0.7% Skew 10d 1.7% 0.3% 3.0% 2.8% 0.8% Call IV 25d 13.4% 11.2% 15.9% 15.5% 12.5% Put IV 25d 14.3% 11.4% 17.4% 17.1% 13.1% Bid-Ask Spread % 8.24 4.98 12.12 10.19 5.93 Gamma HHI 0.17 0.10 0.49 0.10 0.12 Net GEX 10.9M -34.4M 106.2M -9.6M 9.7M Net DEX 451.5M 135.7M 736.3M 427.9M 135.7M Net VEX -3.0M -3.6M -2.7M -3.6M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.15 4.56 0.94 1.35 Total Volume 15,919.55 3,686 30,875 6,606 28,162 Total OI 444,382.8 384,870 488,180 419,757 410,842
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-11-02 $95.05 $96.00 16.0% 4.6% 16.7% 10.9% 15.8% 1.6% 0.2% -9.6M 427.9M -3.6M 0.94 10.19 N/A N/A 3,414 3,192 175,836 243,921 2009-11-03 $94.10 $96.00 16.6% 4.8% 16.7% 13.5% 16.6% 1.5% -0.0% -18.8M 568.9M -3.5M 4.08 8.12 N/A N/A 2,472 10,098 177,952 245,008 2009-11-04 $93.24 $96.00 15.4% 4.4% 16.1% 8.2% 15.5% 0.8% 0.8% -29.8M 703.8M -3.3M 1.74 11.98 N/A N/A 5,673 9,843 180,052 249,023 2009-11-05 $93.24 $96.00 14.9% 4.3% 15.9% 5.9% 14.8% 0.8% 0.7% -34.3M 736.3M -3.2M 2.03 12.12 N/A N/A 3,196 6,482 181,022 252,015 2009-11-06 $93.33 $96.00 13.8% 4.2% 13.9% 1.4% 14.8% 1.7% 1.2% -34.4M 714.3M -3.1M 0.16 8.76 N/A N/A 26,574 4,301 182,169 252,291 2009-11-09 $93.44 $96.00 14.2% 4.3% 13.9% 3.2% 15.0% 1.9% 0.8% -17.1M 660.7M -3.1M 0.15 8.24 N/A N/A 16,226 2,464 198,244 250,774 2009-11-10 $93.27 $96.00 14.0% 4.2% 13.7% 2.3% 14.6% 1.3% 0.8% -5.4M 666.5M -3.1M 1.83 8.23 N/A N/A 2,753 5,041 212,007 251,547 2009-11-11 $93.66 $96.00 14.3% 4.2% 12.9% 3.6% 14.7% 0.9% 0.9% 8.2M 594.3M -3.2M 0.78 9.40 N/A N/A 7,216 5,653 214,724 254,102 2009-11-12 $93.49 $95.00 14.2% 4.1% 12.8% 3.1% 14.3% 0.7% 1.0% 2.1M 629.5M -3.1M 1.64 8.06 N/A N/A 3,676 6,035 217,950 256,357 2009-11-13 $93.92 $95.00 13.7% 3.9% 12.6% 1.0% 14.0% 0.6% 1.3% 17.9M 541.1M -3.2M 4.56 8.35 N/A N/A 1,005 4,585 218,877 257,306 2009-11-16 $95.02 $95.00 14.1% 4.0% 13.0% 2.6% 15.0% 1.0% 1.0% 54.2M 273.8M -3.1M 1.77 7.48 N/A N/A 9,657 17,117 218,977 257,925 2009-11-17 $95.53 $95.00 13.0% 3.7% 13.0% 0.0% 13.1% 1.1% 1.1% 47.4M 212.5M -3.0M 1.07 8.81 N/A N/A 13,686 14,697 213,782 265,429 2009-11-18 $94.97 $96.00 12.5% 3.6% 13.0% 0.0% 12.8% 1.3% 1.4% 68.7M 379.2M -3.0M 0.60 8.63 N/A N/A 8,307 4,951 220,972 267,208 2009-11-19 $95.14 $96.00 12.2% 3.5% 12.9% 0.0% 12.3% 0.3% 1.8% 74.2M 333.0M -2.9M 0.40 7.82 N/A N/A 13,058 5,257 214,733 266,460 2009-11-20 $95.12 $96.00 11.7% 3.4% 12.6% 0.0% 11.7% 0.7% 2.0% 106.2M 330.8M -2.8M 0.41 5.60 N/A N/A 19,518 7,980 217,366 266,638 2009-11-23 $95.00 $96.00 11.8% 3.4% 11.6% 0.2% 11.8% 0.2% 1.7% -17.5M 403.3M -2.7M 1.06 4.98 N/A N/A 9,584 10,131 159,877 224,993 2009-11-24 $95.60 $95.00 11.2% 3.2% 10.8% 0.0% 11.1% 0.2% 1.7% -9.0M 313.4M -2.7M 0.43 5.88 N/A N/A 7,509 3,200 167,062 232,525 2009-11-25 $96.04 $95.00 11.2% 3.2% 10.8% 0.2% 11.4% 0.2% 1.1% 169.7K 234.0M -2.7M 1.54 7.85 N/A N/A 4,730 7,262 170,819 232,674 2009-11-27 $96.40 $95.00 12.5% 3.6% 10.0% 5.1% 12.6% 0.6% 0.8% 5.6M 170.8M -2.8M 0.82 8.37 N/A N/A 2,027 1,659 171,562 236,635 2009-11-30 $96.63 $95.00 12.8% 3.7% 8.7% 6.4% 14.4% 0.7% 0.4% 9.7M 135.7M -2.7M 1.35 5.93 N/A N/A 11,986 16,176 173,399 237,443
« Oct 2009 | All History | Dec 2009 » Home TLT History November 2009